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Better than pre-commitment optimal mean-variance portfolio allocation: a semi-self-financing Hamilton-Jacobi-Bellman approach

RepositoryUniversity of Queensland [UQ eSpace]
URLhttps://espace.library.uq.edu.au/view/UQ:371002
Author(s)Dang, Duy-Minh; Forsyth, Peter
Item typeArticle
JournalEuropean Journal of Operational Research, Print_ISSN:0377-2217, Online_ISSN:1872-6860
DOIhttps://doi.org/10.1016/j.ejor.2015.10.015

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